08/27/2004
FUTURES CONTRACTS: Natural Gas, Henry Hub Swaps and e-miNY Natural Gas Contracts
CONTRACT MONTHS: All Natural Gas Contract Months
NG/NN Scan and Intra-Commodity Spread Tiers
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd Nearby |
2nd Nearby |
3 |
3rd Nearby |
3rd - 4th Nearby |
4 |
4th - 6th Nearby |
5th - 8th Nearby |
5 |
7th Nearby |
9th Nearby |
6 |
8th Nearby |
10th - 16th Nearby |
7 |
9th - 14th Nearby |
17th - 20th Nearby |
8 |
15th - 18th Nearby |
Greater than 20th Nearby |
9 |
Greater than 18th Nearby |
N/A |
NYMEX Division Outright (Scan) Margins on Natural Gas Futures (NG)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
New |
Old |
New |
Old |
New |
Old |
|
1 |
$3,500 |
$4,000 |
$3,850 |
$4,400 |
$4,725 |
$5,400 |
2 |
$3,500 |
$4,000 |
$3,850 |
$4,400 |
$4,725 |
$5,400 |
3 |
$4,000 |
$3,750 |
$4,400 |
$4,125 |
$5,400 |
$5,063 |
4 |
$4,250 |
$4,250 |
$4,675 |
$4,675 |
$5,738 |
$5,738 |
5 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
6 |
$2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
7 |
$2,500 |
$3,000 |
$2,750 |
$3,300 |
$3,375 |
$4,050 |
8 |
$3,000 |
$1,500 |
$3,300 |
$1,500 |
$4,050 |
$2,025 |
9 |
$1,000 |
N/A |
$1,100 |
N/A |
$1,350 |
N/A |
NYMEX Division Outright (Scan) Margins on Henry Hub Swap Futures (NN)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
New |
Old |
New |
Old |
New |
Old |
|
1 |
$875 |
$1,000 |
$963 |
$1,100 |
$1,181 |
$1,350 |
2 |
$875 |
$1,000 |
$963 |
$1,100 |
$1,181 |
$1,350 |
3 |
$1,000 |
$938 |
$1,100 |
$1,031 |
$1,350 |
$1,266 |
4 |
$1,063 |
$1,063 |
$1,169 |
$1,169 |
$1,434 |
$1,434 |
5 |
$750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
6 |
$500 |
$625 |
$550 |
$688 |
$675 |
$844 |
7 |
$625 |
$750 |
$688 |
$825 |
$844 |
$1,013 |
8 |
$750 |
$375 |
$825 |
$413 |
$1,013 |
$506 |
9 |
$250 |
N/A |
$275 |
N/A |
$338 |
N/A |
NYMEX Division Outright (Scan) Margins on Natural Gas e-miNY Futures (QG)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
New |
Old |
New |
Old |
New |
Old |
|
1 |
$1,750 |
$2,000 |
$1,925 |
$2,200 |
$2,363 |
$2,700 |
2 |
$1,750 |
$2,000 |
$1,925 |
$2,200 |
$2,363 |
$2,700 |
NYMEX Division Intra-Commodity Spread Margins on Natural Gas Futures (NG)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
New |
Old |
New |
Old |
New |
Old |
|
1 |
$500 |
$1,000 |
$550 |
$1,100 |
$675 |
$1,350 |
2 |
$500 |
$1,000 |
$550 |
$1,100 |
$675 |
$1,350 |
3 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
4 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
5 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
6 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
7 |
$500 |
$250 |
$550 |
$275 |
$675 |
$338 |
8 |
$500 |
$250 |
$550 |
$275 |
$675 |
$338 |
9 |
$250 |
N/A |
$275 |
N/A |
$338 |
N/A |
NYMEX Division Intra-Commodity Spread Margins on Henry Hub Swap Futures (NN)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
New |
Old |
New |
Old |
New |
Old |
|
1 |
$125 |
$250 |
$138 |
$275 |
$169 |
$338 |
2 |
$125 |
$250 |
$138 |
$275 |
$169 |
$338 |
3 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
4 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
5 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
6 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
7 |
$125 |
$63 |
$138 |
$69 |
$169 |
$84 |
8 |
$125 |
$63 |
$138 |
$69 |
$169 |
$84 |
9 |
$63 |
N/A |
$69 |
N/A |
$84 |
N/A |
Current systems calculate the margin requirement for spread positions by first
determining the "Scan Risk" and then multiplying the number of spreads
by a rate set by the Exchange. Scan Risk is determined by netting the outright
margin required for each leg of a spread. Spreading between differently margined
contracts results in a higher spread margin than between equally margined contracts.
Below is provided an example where the legs of a spread are margined differently.
Scan Risk Example at Clearing Member Rates
A spread consisting of one NG leg in Tier 1 and another in Tier 6 will have
its requirement (at the clearing member rates) calculated at $2,000 starting
on Monday, August 30, 2004.
One Long Tier 1 NG (1 * $3,500) = $3,500
One Short Tier 6 NG (1 * $2,000) = $2,000
Net Scan Risk ($3,500-$2,000 = $1,500
Spread Rate (1* $ 500) = + $ 500
Total Requirement = $2,000
Summary Clearing Member (Maintenance Margin): $2,000
Member Customer (Initial Margin): $2,200
Non-Member Customer (Initial Margin): $2,700